Comparing forecasting performance in cross-sections
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Cites work
- A new framework for analyzing survey forecasts using three-dimensional panel data
- Asymptotic Inference about Predictive Ability
- Asymptotics for out of sample tests of Granger causality
- Econometric Evaluation of Linear Macro-Economic Models
- Eigenvalue ratio test for the number of factors
- Equivalence between out-of-sample forecast comparisons and Wald statistics
- Estimation and Inference in Large Heterogeneous Panels with a Multifactor Error Structure
- Estimation and Testing of Forecast Rationality under Flexible Loss
- Inferential Theory for Factor Models of Large Dimensions
- Shrinkage estimation of high-dimensional factor models with structural instabilities
- Testing hypotheses about the number of factors in large factor models
- Tests of Conditional Predictive Ability
- Tests of equal forecast accuracy and encompassing for nested models
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